Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0666
Annualized Std Dev 0.1958
Annualized Sharpe (Rf=0%) 0.3401

Row

Daily Return Statistics

Close
Observations 4981.0000
NAs 1.0000
Minimum -0.1138
Quartile 1 -0.0044
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0058
Maximum 0.1283
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0123
Skewness -0.1539
Kurtosis 11.4953

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0088
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.5665
Historical VaR (95%) -0.0186
Historical ES (95%) -0.0300
Modified VaR (95%) -0.0176
Modified ES (95%) -0.0242
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-02-01 -0.5665 1338 355 983
2001-06-06 2002-10-09 2004-12-15 -0.3821 886 336 550
2020-02-20 2020-03-23 2020-08-21 -0.3500 129 23 106
2018-09-21 2018-12-24 2019-07-02 -0.2089 195 65 130
2015-06-24 2016-02-11 2016-07-18 -0.1640 269 161 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA 0.7 0.6 0.4 0.4 -0.9 2.1 -0.3 -1.4 1.6
2002 -0.6 2 0.1 0.8 0 -2.5 -2.6 -0.3 3.8 2.1 -0.6 0.2 2.2
2003 1.6 0.4 1.4 -0.1 1.5 0.7 -1.2 0.5 2 0.5 1 -0.3 8.4
2004 -0.1 1 0.5 -0.8 0.1 -1 0.3 0.2 1.6 0.1 1.3 -0.3 3
2005 0.6 0.6 -0.4 1.2 0.8 0.4 -0.1 0 0.3 0.2 1.3 -0.4 4.4
2006 0.4 0.9 0.1 -0.5 1.3 0 -0.5 0.6 -0.3 -0.9 -0.3 -0.4 0.2
2007 0.6 -0.3 -0.1 0.2 0.4 -0.2 0.6 1 1.3 -2.5 0.7 -0.5 1.1
2008 1.6 -2.2 3.4 1.8 0.2 0.5 -0.4 -1.3 -0.1 2.2 -8.9 1.4 -2.5
2009 -2.1 -1.9 2 0.6 2.5 0.6 0.2 -2.2 -2.7 -2.7 1.2 -1 -5.6
2010 1.5 1.2 0.7 -1.7 -2.1 -0.4 0.1 2.9 0.4 0 2.1 0 4.8
2011 1.6 -1.7 0.5 0.3 -2.3 1.4 -0.4 -1.1 -2.5 -2.7 0 -0.4 -7.2
2012 1.2 0.8 0.3 0.6 -2.6 2.6 -0.4 0.6 0.2 1.3 0 1.8 6.4
2013 1 0.2 -0.5 -1 -1.3 0.8 1.3 -0.6 0.9 0.1 -0.1 0.4 1
2014 -0.7 0.2 0.8 0 0 0.7 -0.3 0.3 -1.3 1.2 -0.8 -1 -0.9
2015 -1.4 -0.4 -0.2 0.9 0.2 0.7 -0.1 -2.9 0.2 -0.4 0.9 -1 -3.3
2016 0 2.4 0.6 -0.6 0.3 0.2 -0.1 0.1 0.8 -0.7 -0.4 -0.4 2.1
2017 0 1.3 -0.2 0.3 0.9 0.1 0.2 0.2 0.3 0.1 -0.2 -0.4 2.8
2018 0 -1.2 1.4 0.2 1 0.1 -0.1 0 0.2 1.1 0.7 0.9 4.3
2019 0.1 0.7 1.2 -0.7 -1.3 0.7 -0.9 0 -1.3 1.1 -0.4 0.3 -0.8
2020 -1.8 -0.7 -4.6 -2.8 0.7 0.6 0.5 0.9 0.8 -1.1 1.3 0.5 -5.7
2021 1.7 2.6 0.1 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart